From this screen, select the RDP-TCP connection and right mouse click on it. From the displayed sub menu, select Properties. On the Client Settings panel, you will uncheck the (Disable Audio mapping) check box.

NOTE: In order to hear sound from your VPS to your local machine, you need to make sure that your RDP client is also setup. To do so please do the following;

1. Open Remote Desktop and click on Options.
2. Click Local Resources tab.
3. Under Remote Audio click on Settings.
4. Under Remote audio playback the (Play on this computer) button is selected.
5. Click OK